A comparison of European and Asian options under Markov additive processes
Probability
2019-08-12 v2
Abstract
We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then, we use Mellin transform and partial integro-differential equation methods to value European options under a such a model. Finally, a comparison is made between the price of a European call option and that of an Asian call option.
Keywords
Cite
@article{arxiv.1907.06596,
title = {A comparison of European and Asian options under Markov additive processes},
author = {David Woodford and Larbi Alili},
journal= {arXiv preprint arXiv:1907.06596},
year = {2019}
}
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27 Pages